[Boost-commit] svn:boost r55982 - in sandbox/statistics/importance_sampling: boost/importance_sampling libs/importance_sampling/doc libs/importance_sampling/example

Subject: [Boost-commit] svn:boost r55982 - in sandbox/statistics/importance_sampling: boost/importance_sampling libs/importance_sampling/doc libs/importance_sampling/example
From: erwann.rogard_at_[hidden]
Date: 2009-09-02 21:50:28

Author: e_r
Date: 2009-09-02 21:50:27 EDT (Wed, 02 Sep 2009)
New Revision: 55982
URL: http://svn.boost.org/trac/boost/changeset/55982

Log:
m
Text files modified: 
   sandbox/statistics/importance_sampling/boost/importance_sampling/generate.hpp       |     2 +-                                      
   sandbox/statistics/importance_sampling/libs/importance_sampling/doc/readme.txt      |    27 +++++++++++++++++++++------             
   sandbox/statistics/importance_sampling/libs/importance_sampling/example/sampler.cpp |    36 +++++++++++++++---------------------    
   3 files changed, 37 insertions(+), 28 deletions(-)

Modified: sandbox/statistics/importance_sampling/boost/importance_sampling/generate.hpp
==============================================================================
--- sandbox/statistics/importance_sampling/boost/importance_sampling/generate.hpp	(original)
+++ sandbox/statistics/importance_sampling/boost/importance_sampling/generate.hpp	2009-09-02 21:50:27 EDT (Wed, 02 Sep 2009)
@@ -13,7 +13,7 @@
 #include <boost/math/tools/precision.hpp>
 #include <boost/random/variate_generator.hpp>
 #include <boost/utility.hpp>
-#include <boost/non_param/algorithm/proportion_less_than.hpp>
+#include <boost/statistics/empirical_cdf/algorithm/proportion_less_than.hpp>
 #include <boost/importance_sampling/sampler.hpp>
 #include <boost/random/ref_distribution.hpp>
 

Modified: sandbox/statistics/importance_sampling/libs/importance_sampling/doc/readme.txt
==============================================================================
--- sandbox/statistics/importance_sampling/libs/importance_sampling/doc/readme.txt	(original)
+++ sandbox/statistics/importance_sampling/libs/importance_sampling/doc/readme.txt	2009-09-02 21:50:27 EDT (Wed, 02 Sep 2009)
@@ -16,7 +16,17 @@
 These are C++ tools for sampling by importance weights. For example:
     generate(urng,b_w, e_w, b_p, b_t, n);
 
-See the related package sandbox/statistics/importance_weights
+
+[ Advice ]
+
+To compute the appropriate weights, we recommend using prepare_weights defined
+in the package sandbox/statistics/importance_weights
+
+To ensure that the draws are from the desired target distribution, we recommend
+monitoring
+a) The effective sample size (ESS) 
+b) The uniformity of the Cook-Gelman statistics. The latter may be violated by
+either i) too small a ESS ii) incorrect computations
 
 [ Compiler ]
 
@@ -25,11 +35,18 @@
 [ Dependencies ]
 
 /usr/local/boost_1_39_0/ 
-/sandbox/statistics/utility/ 
+
+/sandbox/statistics/arithmetic/ 
+/sandbox/statistics/dist_random/ 
+/sandbox/statistics/random/ 
+/sandbox/statistics/functional/ 
+/sandbox/statistics/binary_op/ 
+/sandbox/statistics/importance_weights/ 
+/sandbox/statistics/scalar_dist/ 
+/sandbox/statistics/empirical_cdf/ 
 /sandbox/statistics/standard_distribution/ 
-/sandbox/statistics/stl/
+/sandbox/statistics/importance_sampling/
 
-Link to libboost_serialization-gcc40-mt-1_37.a
 
 [ Models RandomDistribution ]
     Let R denote a range of values (not restricted to scalars) representing
@@ -65,8 +82,6 @@
 
 ->example_sampler : 
 
-->example_sampler : 
-
 Initial sample : 
 (offset,scaling_factor,pc_ess,pc_lt_eps)
 (-1,1,0.438938,0)

Modified: sandbox/statistics/importance_sampling/libs/importance_sampling/example/sampler.cpp
==============================================================================
--- sandbox/statistics/importance_sampling/libs/importance_sampling/example/sampler.cpp	(original)
+++ sandbox/statistics/importance_sampling/libs/importance_sampling/example/sampler.cpp	2009-09-02 21:50:27 EDT (Wed, 02 Sep 2009)
@@ -10,15 +10,16 @@
 #include <algorithm>
 #include <iterator>
 #include <boost/bind.hpp>
-#include <boost/random.hpp>
+#include <boost/random/mersenne_twister.hpp>
 #include <boost/format.hpp>
 #include <boost/function.hpp>
 #include <boost/math/tools/precision.hpp>
-#include <boost/random/normal_distribution.hpp>
-// Must come before non_param/algorithm/sequential_kolmogorov_smirnov_distance:
+// Must come before empirical_cdf/algorithm/sequential_kolmogorov_smirnov_distance:
 #include <boost/standard_distribution/distributions/normal.hpp>
-#include <boost/non_param/algorithm/sequential_kolmogorov_smirnov_distance.hpp>
+#include <boost/statistics/empirical_cdf/algorithm/sequential_kolmogorov_smirnov_distance.hpp>
 #include <boost/scalar_dist/include.hpp>
+#include <boost/dist_random/distributions/normal.hpp>
+#include <boost/dist_random/random/generate_n.hpp>
 #include <boost/importance_weights/algorithm/prepare_weights.hpp>
 #include <boost/importance_sampling/include.hpp>
 
@@ -37,9 +38,7 @@
     typedef std::vector<vec_>                           mat_;
     typedef math::normal_distribution<val_>             mnd_;
     typedef math::meta_ratio_pdf<mnd_,mnd_>             meta_ratio_;
-    typedef normal_distribution<val_>                   rd_;
     typedef mt19937                                     urng_;
-    typedef variate_generator<urng_&, rd_>              gen_t;
     typedef function<val_(mnd_,val_)>                   pdf_fun_; 
     typedef importance_weights::prepare_weights<val_>   prepare_weights_;
 
@@ -57,25 +56,20 @@
     prepare_weights_ prepare_weights( max_log );
     mnd_ md_proposal( mu, sigma );               
     mnd_ md_target( target_mu, target_sigma );   
-    rd_ rd( mu, sigma );
 
     urng_ urng;
     vec_ vec_ks; vec_ks.reserve(n_ks * n_t_pl);
-    vec_ proposals;
-    proposals.reserve(n_p);
+    vec_ proposals( n_p );
     vec_ targets; 
     targets.reserve( n_ks * n_t_pl );
-    vec_ is_weights;
-    is_weights.reserve(n_p);
-    gen_t gen(urng,rd);
-    std::generate_n( std::back_inserter(proposals), n_p, gen );
-
-    is_weights.clear();
-    math::transform<math::fun_wrap::log_unnormalized_pdf_>(
-        meta_ratio_::make(md_target,md_proposal),
-        boost::begin(proposals),
-        boost::end(proposals),
-        std::back_inserter(is_weights)
+    vec_ is_weights( n_p );
+
+    generate_function_n<math::fun_wrap::log_unnormalized_pdf_>( 
+        boost::begin( proposals ), 
+        boost::begin( is_weights ),
+        n_p,
+        md_proposal, 
+        urng
     );
 
     prepare_weights(
@@ -100,7 +94,7 @@
     {
         // i       0       1        ...    n-1           
         // [b,e)  [0,m)    [m,2m)   ...    [(n-1)m,n m)
-        boost::non_param::sequential_kolmogorov_smirnov_distance(
+        statistics::empirical_cdf::sequential_kolmogorov_smirnov_distance(
             md_target,
             boost::begin(targets),
             boost::end(targets),